A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations (Q5282648)
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scientific article; zbMATH DE number 6747322
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| English | A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations |
scientific article; zbMATH DE number 6747322 |
Statements
A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations (English)
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14 July 2017
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decoupled forward-backward stochastic differential equations
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backward orthogonal polynomials
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multi-step numerical scheme
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error estimate
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zero-stability
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convergence
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numerical experiments
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0.95399696
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0.95111406
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0.9467446
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0.9458989
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0.93468523
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0.9341426
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0.93370956
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0.92972505
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0.92955375
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